Vladimir Ilich Piterbarg : Citation Profile

Are you Vladimir Ilich Piterbarg?

National Research University Higher School of Economics (HSE)

7

H index

5

i10 index

213

Citations

RESEARCH PRODUCTION:

10

Articles

2

Papers

RESEARCH ACTIVITY:

   36 years (1984 - 2020). See details.
   Cites by year: 5
   Journals where Vladimir Ilich Piterbarg has often published
   Relations with other researchers
   Recent citing documents: 11.    Total self citations: 1 (0.47 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/ppi536
   Updated: 2024-04-18    RAS profile: 2022-04-04    
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Relations with other researchers

Works with:

Authors registered in RePEc who have co-authored more than one work in the last five years with Vladimir Ilich Piterbarg.

Is cited by:

Platen, Eckhard (7)

Jacquier, Antoine (7)

Gnoatto, Alessandro (4)

Einmahl, John (4)

Jarrow, Robert (4)

Chernozhukov, Victor (4)

Laurini, Márcio (3)

Wintenberger, Olivier (2)

Baldeaux, Jan (2)

Lee, Sokbae (Simon) (2)

van soest, arthur (2)

Cites to:

Einmahl, John (5)

Yakovenko, Victor (3)

Schönbucher, Philipp (2)

Dacorogna, Michel (2)

Egidio dos Reis, Alfredo (1)

Estrella, Arturo (1)

Jamshidian, Farshid (1)

White, Alan (1)

Sandmann, Klaus (1)

LI, HAITAO (1)

Main data

Where Vladimir Ilich Piterbarg has published?

Journals with more than one article published# docs
Stochastic Processes and their Applications5
Statistics & Probability Letters2

Recent works citing Vladimir Ilich Piterbarg (2024 and 2023)

YearTitle of citing document
2023Invariant cones for jump-diffusions in infinite dimensions. (2022). Tappe, Stefan. In: Papers. RePEc:arx:papers:2206.13913.

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2023Kelvin Waves, Klein-Kramers and Kolmogorov Equations, Path-Dependent Financial Instruments: Survey and New Results. (2023). Lipton, Alexander. In: Papers. RePEc:arx:papers:2309.04547.

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2023An explosion time characterization of asset price bubbles. (2023). Jarrow, Robert ; Kwok, Simon S. In: International Review of Finance. RePEc:bla:irvfin:v:23:y:2023:i:2:p:469-479.

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2023Analytical solvability and exact simulation in models with affine stochastic volatility and Lévy jumps. (2023). Kwok, Yue Kuen ; Jiang, Pingping ; Xu, Ziqing ; Zeng, Pingping. In: Mathematical Finance. RePEc:bla:mathfi:v:33:y:2023:i:3:p:842-890.

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2023Reduced-form framework for multiple ordered default times under model uncertainty. (2023). Oberpriller, Katharina ; Mazzon, Andrea ; Biagini, Francesca. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:156:y:2023:i:c:p:1-43.

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2023Extreme value theory for a sequence of suprema of a class of Gaussian processes with trend. (2023). Peng, Xiaofan ; Ji, Lanpeng. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:158:y:2023:i:c:p:418-452.

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2023Simultaneous ruin probability for multivariate Gaussian risk model. (2023). Kriukov, Nikolai ; Debicki, Krzysztof ; Bisewski, Krzysztof. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:160:y:2023:i:c:p:386-408.

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2023.

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2024Calibration in the “real world” of a partially specified stochastic volatility model. (2024). Mariani, Francesca ; Fatone, Lorella ; Zirilli, Francesco. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:44:y:2024:i:1:p:75-102.

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Works by Vladimir Ilich Piterbarg:

YearTitleTypeCited
1984On the convergence rate of maximal deviation distribution for kernel regression estimates In: Journal of Multivariate Analysis.
[Full Text][Citation analysis]		article18
2004On the ruin probability for physical fractional Brownian motion In: Stochastic Processes and their Applications.
[Full Text][Citation analysis]		article8
2004Limit theorem for maximum of the storage process with fractional Brownian motion as input In: Stochastic Processes and their Applications.
[Full Text][Citation analysis]		article3
2006On asymptotic distribution of maxima of complete and incomplete samples from stationary sequences In: Stochastic Processes and their Applications.
[Full Text][Citation analysis]		article10
2008A limit theorem for the time of ruin in a Gaussian ruin problem In: Stochastic Processes and their Applications.
[Full Text][Citation analysis]		article5
2020High excursions of Bessel and related random processes In: Stochastic Processes and their Applications.
[Full Text][Citation analysis]		article0
2008On estimation of the exponent of regular variation using a sample with missing observations In: Statistics & Probability Letters.
[Full Text][Citation analysis]		article1
2011Log-likelihood ratio test for detecting transient change In: Statistics & Probability Letters.
[Full Text][Citation analysis]		article9
2002Discrete vs continuous time for large extremes of Gaussian processes. In: Econometric Institute Research Papers.
[Full Text][Citation analysis]		paper0
2007Moment explosions in stochastic volatility models In: Finance and Stochastics.
[Full Text][Citation analysis]		article119
2001Nonparametric estimation of the spectral measure of an extreme value distribution In: Other publications TiSEM.
[Full Text][Citation analysis]		paper29
2008A NEW FRAMEWORK FOR DYNAMIC CREDIT PORTFOLIO LOSS MODELLING In: International Journal of Theoretical and Applied Finance (IJTAF).
[Full Text][Citation analysis]		article11

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